Description Usage Arguments Details Author(s) Examples
Calculates the difference between the theoretical variance for the Generalised Pareto Distribution (GPD) and the empirical variance of some data.
1 | Calc.Sigma(sigma, xi, variance)
|
sigma |
a number indicating the scale parameter for the GPD. |
xi |
a number indicating the shape parameter for the GPD. |
variance |
a number indicating the sample variance. |
The inputs must be numeric and a single value.
For this function to be well defined, xi<1/2.
All parameters must be provided.
This function can be optimised to find the fitted value of the scale parameter Sigma for the GPD if the shape parameter is known.
Alison Telford <mm11ajt@leeds.ac.uk>
1 2 3 | data = rnorm(100)
s = sd(data)
Calc.Sigma(0.25,0.25,s)
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